Showing papers in "Journal of Economic Dynamics and Control in 2011"

TL;DR: The authors surveys learning-to-forecast experiments (LtFEs) with human subjects to test theories of expectations and learning, focusing on the question wether the evidence from laboratory experiments is consistent with heterogeneous expectations.

TL;DR: In this paper, the authors focus on the importance of financial and labor market frictions for the business cycle dynamics of a labor market without explicit unemployment in the current standard business cycle model.

TL;DR: In this paper, a method for deriving minimal state variable (MSV) equilibria of a general class of Markov switching rational expectations models and a new algorithm for computing them is presented.

TL;DR: The authors evaluate the Smets-Wouters New Keynesian model of the US postwar period, using indirect inference, the bootstrap and a VAR representation of the data, and find that the model is strongly rejected.

TL;DR: In this article, the authors explore one possible reason that country specific labor market institutions, giving rise to different inflation volatilities, are explored, and they report evidence for EMU countries supporting the existence of a cross-country link over the cycle between labor market structures on the one side and real wages and inflation on the other.

TL;DR: This paper shows how to build algorithms that use graphics processing units (GPUs) installed in most modern computers to solve dynamic equilibrium models in economics, and relies on the compute unified device architecture (CUDA) of NVIDIA GPUs.

TL;DR: In this article, the authors consider the continuous-time mean-variance portfolio selection problem in a financial market in which asset prices are cointegrated and propose an index to simultaneously measure the departure level of a pair from equilibrium and the mean-reversion speed.

TL;DR: In this article, the authors adopt the multiple-priors utility model to distinguish risk from uncertainty, and show that the impact of ambiguity on the option exercise decision depends on the relative degrees of ambiguity about continuation payoffs and termination payoffs.

TL;DR: In this article, an overlapping-generations economy where households care about relative consumption is proposed, where an individual's consumption is driven by the comparison of his lifetime income and the lifetime income of his reference group.

TL;DR: In this article, a sparse-grid collocation method is proposed to compute recursive solutions of dynamic economies with a sizable number of state variables, including the distribution of world capital across different countries as well as the exogenous country-specific technology shocks.

TL;DR: In this article, the effect of government revenue and government purchases on the business cycle was analyzed using a regime-switching error-correction framework, where nonlinearities are only modeled in the short-run and have no impact on the long-run equilibrium.

TL;DR: A new model representation for the dynamic factor model is proposed that allows the Kalman filter and related smoothing methods to evaluate the likelihood function and to produce optimal factor estimates in a computationally efficient way when missing data is present.

TL;DR: In this paper, the authors examined the dynamics of financial distress and in particular the mechanism of transmission of shocks from the financial sector to the real economy by representing the linkages between microeconomic financial variables and the aggregate performance of the economy by means of a microfounded model with firms that have heterogeneous capital structures.

TL;DR: This paper makes use of the Magnus and Neudecker (1999) definition of the Hessian matrix and results are a linear system of equations that characterizes the second-order coefficients.

TL;DR: In this article, the authors consider three variants of the DSGE model and find that they do not fully capture the dynamics of this variable, and that time-variation in the inflation target is needed to capture the evolution of expectations during the post-Volcker period.

TL;DR: In this article, the authors examine a continuous-time intertemporal consumption and portfolio choice problem under ambiguity, where expected returns of a risky asset follow a hidden Markov chain.

TL;DR: In this article, the authors estimate a DSGE model with chained credit contracts, using Bayesian technique, and find that the shocks to the FIs' net worth play an important role in the investment dynamics, accounting for 17% of its variations.

TL;DR: In this article, the existence of inside information and communication among traders was studied for bubble formation in real financial markets, and it was shown that the mere possibility that some traders are better informed than others can create bubbles.

TL;DR: In this article, the authors investigate under which conditions regulation-induced technological progress pursues the best technological option, and analyze a setting with vertical and horizontal technological progress, cost uncertainty, time-limited patent protection, and a case that is typical for some emissi4on-intensive industries, like electricity generation or the chemical industry.

TL;DR: This paper describes how existing MCMC algorithms for imposing inequality restrictions can work poorly (or not at all) and suggests alternative algorithms which exhibit better performance and shows that previous algorithms involve an approximation relating to a key prior integrating constant.

TL;DR: In this paper, the authors compare two different pricing schemes, Calvo (1983) and Rotemberg (1982), under a positive trend in the rate of change in the U.S. economy.

TL;DR: In this article, a dynamic general equilibrium model of tax evasion where agents choose to report some of their income is presented, where unreported income requires using a payment method that avoids record-keeping in some markets.

TL;DR: In this article, the authors use the stochastic simulation algorithm and cluster-grid algorithm to solve a collection of multi-country real business cycle models and show that high accuracy in intratemporal choice is crucial for the overall accuracy of solutions and offer two approaches, precomputation and iteration-on-allocation, that can solve for intra-choice both accurately and quickly.

TL;DR: In this paper, the authors study the impact of an expansion in public spending in an economy characterized by limited asset market participation and sticky wages and show that sticky wages are even essential to obtain expansionary effects.

TL;DR: This paper describes the second model considered in the computational suite project that compares the performance of different numerical algorithms, a multi-country model in which countries face different productivity shocks.

TL;DR: This paper describes the methodology used to compare the results of different solution algorithms for a multi-country real business cycle model and the computer program specifically developed for performing the tests.

TL;DR: This article used the linear opinion pool to combine inflation forecast densities from many vector autoregressions (VARs) and a policy-making stochastic general equilibrium (DSGE) model.

TL;DR: The authors show that a prototypical New Keynesian model fit to Japanese data exhibits orthodox dynamics during Japan's episode with zero interest rates and demonstrate that this specification is more consistent with outcomes in Japan than alternative specifications that have unorthodox properties.

TL;DR: In this article, the authors developed a two-sector quality-ladder growth model in which patent breadth is a policy variable and derived the optimal patent breadth under two patent regimes.

TL;DR: In this article, a multi-agent, multi-period model of an RTGS payment system is presented, where banks choose how much costly liquidity to allocate to the settlement process, and then they use it to execute an exogenous, random stream of payment orders.